w-trade-backtest 1.0.3

package/test/unit-WTradeBacktest.test.mjs

@@ -0,0 +1,541 @@
+import assert from 'assert'
+import fs from 'fs'
+import path from 'path'
+import calcOrders from '../src/calcOrders.mjs'
+import calcOrdersRatio from '../src/calcOrdersRatio.mjs'
+import calcOrdersSummary from '../src/calcOrdersSummary.mjs'
+import calcOrdersSummarySimple from '../src/calcOrdersSummarySimple.mjs'
+import calcSummary from '../src/calcSummary.mjs'
+import closeAndSummaryOrders from '../src/closeAndSummaryOrders.mjs'
+import genReport from '../src/genReport.mjs'
+import genReportCore from '../src/genReportCore.mjs'
+import ott, { nowTpeStr } from '../src/ott.mjs'
+import runStrategies from '../src/runStrategies.mjs'
+import runStrategy from '../src/runStrategy.mjs'
+import writeJson from '../src/writeJson.mjs'
+import writeTxt from '../src/writeTxt.mjs'
+
+
+//規格來源: src/calcOrders.mjs, src/calcOrdersRatio.mjs, src/calcOrdersSummary.mjs, src/calcOrdersSummarySimple.mjs,
+//         src/calcSummary.mjs, src/runStrategy.mjs, src/runStrategies.mjs, src/genReportCore.mjs, src/closeAndSummaryOrders.mjs
+//  calcOrders(arrOhlc, orders, {uIni}): 依timeStart排序逐單結算, long以Low<=priceStopLoss先判止損, High>=priceTakeProfit判止盈;
+//    short以High>=priceStopLoss先判止損, Low<=priceTakeProfit判止盈; 僅檢查time>timeStart之K棒;
+//    long盈虧 = uTrade*(priceEnd/priceStart) - uTrade - 2*uFee; short盈虧 = (priceStart-priceEnd)*(uTrade/priceStart) - 2*uFee;
+//    並累計uCumuProfitOrLoss/uEquity(自uIni起), modeResult = 盈虧<0 ? 'loss' : 'profit', 未觸發者維持原單(未平倉)
+//  calcOrdersRatio(ott, orders): 各已平倉單計算dayHold(以日期差+1)與rProfitOrLossDay = (1+rProfitOrLoss)^(1/dayHold)-1
+//  calcOrdersSummary(ott, uIni, ordersAll, timeOhlcStart, timeOhlcEnd): 統計交易次數/勝率/最大回撤/最大持倉/夏普值/最終權益等
+//  calcOrdersSummarySimple: 精簡版, 只算選股熱路徑欄位, 與完整版對應欄位一致
+//  calcSummary(ott, uIni, orders, timeOhlcStart, timeOhlcEnd): 重算累積收益後執行ratio+summary, 另附timeTest/timeOhlcStart/timeOhlcEnd/uIni
+//  runStrategy(ott, strategy, funGetSeries, opt): 依conds(sym/th/opr)於各時間點判斷觸發下單, 以settings計算止盈止損價格, 再走calcOrders+summary
+//  runStrategies(ott, strategies, funGetSeries, opt): 逐策略執行(withSummary:false), 合併orders附sid, 以uIni總和跑calcSummary
+//  genReportCore(r, fpOut): 讀取src內tmp.html與render*.js模板, 置換{name}/{orders}/{summary}後寫出html
+//  genReport(ott, fpOrders, opt): 讀orders.json後calcSummary+genReportCore產出html, 回傳{orders,summary,fpOut};
+//    opt.fpOut預設同資料夾report.html, opt.name預設所在資料夾名, opt.uIni預設由首筆已結算單推回(uEquity-uCumuProfitOrLoss),
+//    opt.timeOhlcStart/timeOhlcEnd預設由訂單起訖推得, opt.withWriteSummary:true另輸出summary.json
+//  closeAndSummaryOrders(ott, fdOhlc, fdParam, uIni, timeOhlcStart, timeOhlcEnd, keyOhlc, ordersSubmit, fdTest, opt):
+//    以w-data-tdprovide讀取fdOhlc/fdParam數據, 結算ordersSubmit並輸出orders.json/summary.json/report.html至fdTest
+
+
+//approx, 浮點容差比較
+let approx = (a, b, tol = 1e-9) => Math.abs(a - b) < tol
+
+
+//fixtures: 6根4hr K線(同一日內, 2020-01-01T00:00至20:00)
+let t00 = '2020-01-01T00:00:00'
+let t04 = '2020-01-01T04:00:00'
+let t08 = '2020-01-01T08:00:00'
+let t12 = '2020-01-01T12:00:00'
+let t16 = '2020-01-01T16:00:00'
+let t20 = '2020-01-01T20:00:00'
+let buildArrOhlc = () => {
+    return [
+        { time: t00, Open: 100, High: 101, Low: 99, Close: 100 },
+        { time: t04, Open: 100, High: 106, Low: 100, Close: 105 },
+        { time: t08, Open: 105, High: 107, Low: 102, Close: 103 },
+        { time: t12, Open: 103, High: 104, Low: 94, Close: 95 },
+        { time: t16, Open: 95, High: 98, Low: 92, Close: 93 },
+        { time: t20, Open: 93, High: 99, Low: 95, Close: 97 },
+    ]
+}
+
+//buildOrders: 4張手工下單(calcOrders會就地修改訂單, 故每次重建)
+//  A: long@t00, priceStart=100, TP=105(t04之High=106觸發止盈), SL=97
+//  B: long@t04, priceStart=105, TP=110.25, SL=101.85(t12之Low=94觸發止損)
+//  C: short@t08, priceStart=103, TP=97.85(t12之Low=94觸發止盈), SL=106.09
+//  D: long@t16, priceStart=93, TP=105, SL=85(其後K棒皆未觸發, 未平倉)
+let buildOrder = (mode, timeStart, priceStart, priceTakeProfit, priceStopLoss) => {
+    return {
+        mode,
+        timeStart,
+        priceStart,
+        uTrade: 100,
+        priceTakeProfit,
+        priceStopLoss,
+        timeEnd: '',
+        priceEnd: '',
+        modeResult: '',
+        uFee: 0.05, //rFee=0.0005, uFee=0.0005*100
+    }
+}
+let buildOrders = () => {
+    return [
+        buildOrder('long', t00, 100, 105, 97),
+        buildOrder('long', t04, 105, 110.25, 101.85),
+        buildOrder('short', t08, 103, 97.85, 106.09),
+        buildOrder('long', t16, 93, 105, 85),
+    ]
+}
+
+//暫存根資料夾: 各測試檔獨立使用./test/tmp-{測試名}, 結束時整夾刪除, 不與其他測試檔共用父層
+let fdTmp = path.resolve('./test/tmp-unit-WTradeBacktest')
+
+
+describe('WTradeBacktest', function() {
+
+    after(function() {
+        fs.rmSync(fdTmp, { recursive: true, force: true })
+    })
+
+    describe('calcOrders', function() {
+
+        it('long止盈: A單於t04以High>=priceTakeProfit結算, 盈虧=100*(105/100)-100-2*0.05=4.9', async function() {
+            let orders = await calcOrders(buildArrOhlc(), buildOrders(), { uIni: 1000 })
+            let o = orders[0]
+            assert.strictEqual(o.timeEnd, t04)
+            assert.strictEqual(o.priceEnd, 105)
+            assert.strictEqual(o.modeResult, 'profit')
+            assert.ok(approx(o.uProfitOrLoss, 4.9), `uProfitOrLoss=${o.uProfitOrLoss}`)
+            assert.ok(approx(o.rProfitOrLoss, 0.049), `rProfitOrLoss=${o.rProfitOrLoss}`)
+            assert.ok(approx(o.uCumuProfitOrLoss, 4.9), `uCumuProfitOrLoss=${o.uCumuProfitOrLoss}`)
+            assert.strictEqual(o.rCumuProfitOrLoss, '0.49%')
+            assert.ok(approx(o.uEquity, 1004.9), `uEquity=${o.uEquity}`)
+        })
+
+        it('long止損: B單於t12以Low<=priceStopLoss結算, 盈虧=100*(101.85/105)-100-0.1=-3.1', async function() {
+            let orders = await calcOrders(buildArrOhlc(), buildOrders(), { uIni: 1000 })
+            let o = orders[1]
+            assert.strictEqual(o.timeEnd, t12)
+            assert.strictEqual(o.priceEnd, 101.85)
+            assert.strictEqual(o.modeResult, 'loss')
+            assert.ok(approx(o.uProfitOrLoss, -3.1), `uProfitOrLoss=${o.uProfitOrLoss}`)
+            assert.ok(approx(o.uCumuProfitOrLoss, 1.8), `uCumuProfitOrLoss=${o.uCumuProfitOrLoss}`)
+            assert.strictEqual(o.rCumuProfitOrLoss, '0.18%')
+            assert.ok(approx(o.uEquity, 1001.8), `uEquity=${o.uEquity}`)
+        })
+
+        it('short止盈: C單於t12以Low<=priceTakeProfit結算, 盈虧=(103-97.85)*(100/103)-0.1=4.9', async function() {
+            let orders = await calcOrders(buildArrOhlc(), buildOrders(), { uIni: 1000 })
+            let o = orders[2]
+            assert.strictEqual(o.timeEnd, t12)
+            assert.strictEqual(o.priceEnd, 97.85)
+            assert.strictEqual(o.modeResult, 'profit')
+            assert.ok(approx(o.uProfitOrLoss, 4.9), `uProfitOrLoss=${o.uProfitOrLoss}`)
+            assert.ok(approx(o.uCumuProfitOrLoss, 6.7), `uCumuProfitOrLoss=${o.uCumuProfitOrLoss}`)
+            assert.strictEqual(o.rCumuProfitOrLoss, '0.67%')
+            assert.ok(approx(o.uEquity, 1006.7), `uEquity=${o.uEquity}`)
+        })
+
+        it('未觸發止盈止損: D單維持未平倉(modeResult為空字串)', async function() {
+            let orders = await calcOrders(buildArrOhlc(), buildOrders(), { uIni: 1000 })
+            let o = orders[3]
+            assert.strictEqual(o.timeEnd, '')
+            assert.strictEqual(o.priceEnd, '')
+            assert.strictEqual(o.modeResult, '')
+        })
+
+    })
+
+    describe('calcOrdersRatio', function() {
+
+        it('同日結算單dayHold=1, rProfitOrLossDay=(1+rProfitOrLoss)^(1/1)-1', async function() {
+            let orders = await calcOrders(buildArrOhlc(), buildOrders(), { uIni: 1000 })
+            orders = calcOrdersRatio(ott, orders)
+            assert.strictEqual(orders[0].dayHold, 1)
+            assert.ok(approx(orders[0].rProfitOrLossDay, 0.049), `rProfitOrLossDay=${orders[0].rProfitOrLossDay}`)
+            assert.strictEqual(orders[1].dayHold, 1)
+            assert.ok(approx(orders[1].rProfitOrLossDay, -0.031), `rProfitOrLossDay=${orders[1].rProfitOrLossDay}`)
+        })
+
+        it('跨日單dayHold以日期差+1, rProfitOrLossDay=(1.331)^(1/3)-1=0.1', function() {
+            let orders = calcOrdersRatio(ott, [{
+                modeResult: 'profit',
+                timeStart: '2020-01-01T20:00:00',
+                timeEnd: '2020-01-03T04:00:00',
+                rProfitOrLoss: 0.331,
+            }])
+            assert.strictEqual(orders[0].dayHold, 3)
+            assert.ok(approx(orders[0].rProfitOrLossDay, 0.1), `rProfitOrLossDay=${orders[0].rProfitOrLossDay}`)
+        })
+
+        it('未平倉單不計算(無dayHold欄位)', function() {
+            let orders = calcOrdersRatio(ott, [{ modeResult: '', timeStart: t00 }])
+            assert.strictEqual(orders[0].dayHold, undefined)
+        })
+
+    })
+
+    describe('calcOrdersSummary', function() {
+
+        let buildSummary = async () => {
+            let orders = await calcOrders(buildArrOhlc(), buildOrders(), { uIni: 1000 })
+            orders = calcOrdersRatio(ott, orders)
+            return calcOrdersSummary(ott, 1000, orders, t00, t20)
+        }
+
+        it('交易次數與勝率: 4筆共3筆已平倉, 2勝1敗, rWin=66.67%', async function() {
+            let sm = await buildSummary()
+            assert.strictEqual(sm.numTrade, 4)
+            assert.strictEqual(sm.numTradeFin, 3)
+            assert.strictEqual(sm.numTradeUnsettled, 1)
+            assert.strictEqual(sm.rWin, '66.67%')
+        })
+
+        it('最大回撤: uEquity自1004.9降至1001.8, uDrawdownMax=3.1, rDrawdownMax=3.1/1004.9=0.31%', async function() {
+            let sm = await buildSummary()
+            assert.ok(approx(sm.uDrawdownMax, 3.1), `uDrawdownMax=${sm.uDrawdownMax}`)
+            assert.strictEqual(sm.rDrawdownMax, '0.31%')
+            //等效最大回撤 = 3.1/(1004.9-1000+200) = 1.51%
+            assert.strictEqual(sm.rEquivalentDrawdownMax, '1.51%')
+        })
+
+        it('最大持倉: t08時A已平倉而B/C在倉共200, rTradeAllMax=20.00%, numTradeAllMax=2', async function() {
+            let sm = await buildSummary()
+            assert.strictEqual(sm.uTradeAllMax, 200)
+            assert.strictEqual(sm.rTradeAllMax, '20.00%')
+            assert.strictEqual(sm.numTradeAllMax, 2)
+        })
+
+        it('最終權益與盈虧: uEquityFinal=1006.7, uCumuProfitOrLossFinal=6.7, 等效盈虧=6.7/200=3.35%', async function() {
+            let sm = await buildSummary()
+            assert.ok(approx(sm.uEquityFinal, 1006.7), `uEquityFinal=${sm.uEquityFinal}`)
+            assert.ok(approx(sm.uCumuProfitOrLossFinal, 6.7), `uCumuProfitOrLossFinal=${sm.uCumuProfitOrLossFinal}`)
+            assert.strictEqual(sm.rCumuProfitOrLossFinal, '0.67%')
+            assert.strictEqual(sm.rEquivalentCumuProfitOrLossFinal, '3.35%')
+        })
+
+        it('夏普值: 日報酬{0.049,-0.031,0.049}加權計算, rSharpe=(0.0223/0.0462)*sqrt(252)=7.676', async function() {
+            let sm = await buildSummary()
+            assert.ok(approx(sm.rSharpe, 7.6758, 0.01), `rSharpe=${sm.rSharpe}`)
+        })
+
+        it('回測時長: 同日內btDays=0, btYears=0.0, 年化與等效年化為0.00%', async function() {
+            let sm = await buildSummary()
+            assert.strictEqual(sm.btDays, 0)
+            assert.strictEqual(sm.btYears, '0.0')
+            assert.strictEqual(sm.rCumuProfitOrLossFinalNormYear, '0.00%')
+            assert.strictEqual(sm.rEquivalentCumuProfitOrLossFinalNormYear, '0.00%')
+        })
+
+        it('uIni非正數時throw', function() {
+            assert.throws(() => {
+                calcOrdersSummary(ott, 0, [], t00, t20)
+            }, { message: `uIni[0] is not a positive number` })
+        })
+
+    })
+
+    describe('calcOrdersSummarySimple', function() {
+
+        it('對應欄位與完整版一致(numTrade/rWin/uTradeAllMax/uEquityFinal/btDays等)', async function() {
+            let orders = await calcOrders(buildArrOhlc(), buildOrders(), { uIni: 1000 })
+            let sm = calcOrdersSummarySimple(ott, 1000, orders, t00, t20)
+            assert.strictEqual(sm.numTrade, 4)
+            assert.strictEqual(sm.numTradeFin, 3)
+            assert.strictEqual(sm.rWin, '66.67%')
+            assert.strictEqual(sm.uTradeAllMax, 200)
+            assert.strictEqual(sm.rTradeAllMax, '20.00%')
+            assert.ok(approx(sm.uEquityFinal, 1006.7), `uEquityFinal=${sm.uEquityFinal}`)
+            assert.strictEqual(sm.btDays, 0)
+            assert.strictEqual(sm.btYears, '0.0')
+            assert.strictEqual(sm.rEquivalentCumuProfitOrLossFinalNormYear, '0.00%')
+            assert.strictEqual(sm.timeOhlcStart, t00)
+            assert.strictEqual(sm.timeOhlcEnd, t20)
+        })
+
+    })
+
+    describe('calcSummary', function() {
+
+        it('重算累積收益後回傳完整摘要, 附timeTest/timeOhlcStart/timeOhlcEnd/uIni', async function() {
+            let orders = await calcOrders(buildArrOhlc(), buildOrders(), { uIni: 1000 })
+            let sm = await calcSummary(ott, 1000, orders, t00, t20)
+            assert.ok(/^\d{4}-\d{2}-\d{2}T\d{2}:\d{2}:\d{2}\+08:00$/.test(sm.timeTest), `timeTest=${sm.timeTest}`)
+            assert.strictEqual(sm.timeOhlcStart, t00)
+            assert.strictEqual(sm.timeOhlcEnd, t20)
+            assert.strictEqual(sm.uIni, 1000)
+            assert.strictEqual(sm.numTrade, 4)
+            assert.strictEqual(sm.rWin, '66.67%')
+            assert.ok(approx(sm.uEquityFinal, 1006.7), `uEquityFinal=${sm.uEquityFinal}`)
+        })
+
+        it('timeOhlcStart非有效字串時reject', async function() {
+            await assert.rejects(calcSummary(ott, 1000, [], '', t20), { message: `invalid timeOhlcStart[]` })
+        })
+
+    })
+
+    describe('runStrategy', function() {
+
+        //sig訊號: t00與t08為1(>th觸發), 其餘為0
+        let arrSig = [
+            { time: t00, param: 1 },
+            { time: t04, param: 0 },
+            { time: t08, param: 1 },
+            { time: t12, param: 0 },
+            { time: t16, param: 0 },
+            { time: t20, param: 0 },
+        ]
+        let funGetSeries = async (key) => {
+            if (key === 'btc') {
+                return buildArrOhlc()
+            }
+            if (key === 'sig') {
+                return arrSig
+            }
+            throw new Error(`invalid key[${key}]`)
+        }
+        let buildStrategy = (mode, sym, th) => {
+            return {
+                mode,
+                keyOhlc: 'btc',
+                conds: [{ key: 'sig', sym, th, opr: 'and' }],
+                settings: {
+                    uIni: 1000,
+                    uTrade: 100,
+                    rTakeProfit: 0.05,
+                    rStopLoss: 0.03,
+                    rFee: 0.0005,
+                },
+            }
+        }
+
+        it('long策略: sig>0.5於t00與t08下單, t00單止盈於t04, t08單止損於t12', async function() {
+            let r = await runStrategy(ott, buildStrategy('long', '>', 0.5), funGetSeries)
+            assert.strictEqual(r.orders.length, 2)
+            let o0 = r.orders[0]
+            assert.strictEqual(o0.mode, 'long')
+            assert.strictEqual(o0.timeStart, t00)
+            assert.strictEqual(o0.priceStart, 100) //下單時Close
+            assert.strictEqual(o0.timeEnd, t04)
+            assert.strictEqual(o0.priceEnd, 105) //priceTakeProfit=(1+0.05)*100
+            assert.strictEqual(o0.modeResult, 'profit')
+            let o1 = r.orders[1]
+            assert.strictEqual(o1.timeStart, t08)
+            assert.strictEqual(o1.priceStart, 103)
+            assert.strictEqual(o1.timeEnd, t12)
+            assert.strictEqual(o1.priceEnd, 99.91) //priceStopLoss=(1-0.03)*103
+            assert.strictEqual(o1.modeResult, 'loss')
+        })
+
+        it('summary附timeOhlcStart/timeOhlcEnd/uIni與統計欄位', async function() {
+            let r = await runStrategy(ott, buildStrategy('long', '>', 0.5), funGetSeries)
+            assert.strictEqual(r.summary.timeOhlcStart, t00)
+            assert.strictEqual(r.summary.timeOhlcEnd, t20)
+            assert.strictEqual(r.summary.uIni, 1000)
+            assert.strictEqual(r.summary.numTrade, 2)
+            assert.strictEqual(r.summary.numTradeFin, 2)
+            assert.strictEqual(r.summary.rWin, '50.00%')
+        })
+
+        it('mode非long或short時reject', async function() {
+            await assert.rejects(runStrategy(ott, { mode: 'x' }, funGetSeries), { message: `invalid strategy.mode[x] not 'long' or 'short'` })
+        })
+
+        it('withSummary:false時summary不含統計欄位', async function() {
+            let r = await runStrategy(ott, buildStrategy('long', '>', 0.5), funGetSeries, { withSummary: false })
+            assert.strictEqual(r.summary.numTrade, undefined)
+            assert.strictEqual(r.summary.timeOhlcStart, t00)
+        })
+
+        it('runStrategies: 合併多策略訂單附sid, 以uIni總和2000計算summary', async function() {
+            let strategies = [
+                { sid: 's1', ...buildStrategy('long', '>', 0.5) },
+                { sid: 's2', ...buildStrategy('short', '<', 0.5) },
+            ]
+            let rr = await runStrategies(ott, strategies, funGetSeries)
+            //s1: t00/t08下單2筆; s2: sig<0.5於t04/t12/t16/t20下單4筆(t20單其後無K棒未平倉)
+            assert.strictEqual(rr.orders.length, 6)
+            assert.deepStrictEqual(rr.orders.map((o) => o.sid), ['s1', 's2', 's1', 's2', 's2', 's2']) //依timeStart排序
+            assert.strictEqual(rr.summary.uIni, 2000)
+            assert.strictEqual(rr.summary.numTrade, 6)
+            assert.strictEqual(rr.summary.numTradeFin, 5)
+            assert.strictEqual(rr.summary.rWin, '40.00%') //s1一勝一敗, s2一勝二敗一未平
+        })
+
+    })
+
+    describe('genReportCore', function() {
+
+        it('置換模板{name}/{orders}/{summary}後寫出html', async function() {
+            let orders = await calcOrders(buildArrOhlc(), buildOrders(), { uIni: 1000 })
+            orders = calcOrdersRatio(ott, orders)
+            let summary = calcOrdersSummary(ott, 1000, orders, t00, t20)
+            let fpOut = path.resolve(fdTmp, 'report.html')
+            genReportCore({ name: '單元測試報告', orders, summary }, fpOut)
+            assert.ok(fs.existsSync(fpOut))
+            let h = fs.readFileSync(fpOut, 'utf8')
+            assert.ok(h.includes('單元測試報告'))
+            assert.ok(!h.includes('{orders}'))
+            assert.ok(!h.includes('{summary}'))
+            assert.ok(h.includes(t00)) //orders已注入
+        })
+
+    })
+
+    describe('genReport', function() {
+
+        //writeSettledOrders: 將已結算訂單寫至`${fdTmp}/${fd}/orders.json`並回傳其路徑
+        let writeSettledOrders = async (fd) => {
+            let orders = await calcOrders(buildArrOhlc(), buildOrders(), { uIni: 1000 })
+            let fpOrders = path.resolve(fdTmp, fd, 'orders.json')
+            writeJson(fpOrders, orders)
+            return fpOrders
+        }
+
+        it('預設輸出同資料夾report.html, name取所在資料夾名, uIni由首筆已結算單推回', async function() {
+            let fpOrders = await writeSettledOrders('gr-default')
+
+            let r = await genReport(ott, fpOrders)
+
+            //fpOut
+            assert.strictEqual(r.fpOut, path.resolve(fdTmp, 'gr-default', 'report.html'))
+            assert.ok(fs.existsSync(r.fpOut))
+
+            //orders
+            assert.strictEqual(r.orders.length, 4)
+
+            //summary, uIni由首筆已結算單推回(1004.9-4.9=1000), 統計區間由訂單起訖推得(t00至未平倉D單之timeStart=t16)
+            assert.strictEqual(r.summary.uIni, 1000)
+            assert.strictEqual(r.summary.timeOhlcStart, t00)
+            assert.strictEqual(r.summary.timeOhlcEnd, t16)
+            assert.strictEqual(r.summary.numTrade, 4)
+            assert.strictEqual(r.summary.numTradeUnsettled, 1)
+            assert.strictEqual(r.summary.rWin, '66.67%')
+            assert.ok(approx(r.summary.uEquityFinal, 1006.7), `uEquityFinal=${r.summary.uEquityFinal}`)
+
+            //html已置換name與orders
+            let h = fs.readFileSync(r.fpOut, 'utf8')
+            assert.ok(h.includes('gr-default'))
+            assert.ok(!h.includes('{orders}'))
+            assert.ok(!h.includes('{summary}'))
+        })
+
+        it('opt指定fpOut/name/uIni/timeOhlcStart/timeOhlcEnd, withWriteSummary另輸出summary.json', async function() {
+            let fpOrders = await writeSettledOrders('gr-opt')
+            let fpOut = path.resolve(fdTmp, 'gr-opt-out', 'rpt.html')
+
+            let r = await genReport(ott, fpOrders, {
+                fpOut,
+                name: '指定報表名',
+                uIni: 2000,
+                timeOhlcStart: t00,
+                timeOhlcEnd: t20,
+                withWriteSummary: true,
+            })
+
+            //fpOut
+            assert.strictEqual(r.fpOut, fpOut)
+            assert.ok(fs.existsSync(fpOut))
+            assert.ok(fs.readFileSync(fpOut, 'utf8').includes('指定報表名'))
+
+            //summary
+            assert.strictEqual(r.summary.uIni, 2000)
+            assert.strictEqual(r.summary.timeOhlcStart, t00)
+            assert.strictEqual(r.summary.timeOhlcEnd, t20)
+
+            //summary.json, 與fpOut同資料夾, 內含name與summary
+            let fpSummary = path.resolve(fdTmp, 'gr-opt-out', 'summary.json')
+            let stsm = JSON.parse(fs.readFileSync(fpSummary, 'utf8'))
+            assert.strictEqual(stsm.name, '指定報表名')
+            assert.strictEqual(stsm.summary.numTrade, 4)
+        })
+
+        it('withWriteSummary預設false, 不輸出summary.json', async function() {
+            let fpOrders = await writeSettledOrders('gr-nosummary')
+            await genReport(ott, fpOrders)
+            assert.ok(!fs.existsSync(path.resolve(fdTmp, 'gr-nosummary', 'summary.json')))
+        })
+
+        it('fpOrders非有效字串時reject', async function() {
+            await assert.rejects(genReport(ott, ''), { message: `invalid fpOrders` })
+        })
+
+        it('fpOrders非檔案時reject', async function() {
+            let fp = path.resolve(fdTmp, 'gr-none', 'orders.json')
+            await assert.rejects(genReport(ott, fp), { message: `fpOrders[${fp}] is not a file` })
+        })
+
+        it('orders.json內容非有效陣列時reject', async function() {
+            let fp = path.resolve(fdTmp, 'gr-invalid', 'orders.json')
+            writeJson(fp, [])
+            await assert.rejects(genReport(ott, fp), { message: `orders in fpOrders[${fp}] is not an effective array` })
+        })
+
+    })
+
+    describe('ott', function() {
+
+        it('解析秒時間字串並可format與diff', function() {
+            assert.strictEqual(ott('2020-01-01T00:00:00').format('YYYY-MM-DD'), '2020-01-01')
+            assert.strictEqual(ott('2020-01-03T04:00:00').diff(ott('2020-01-01T20:00:00'), 'day'), 1)
+        })
+
+        it('nowTpeStr回傳台北時區秒時間字串', function() {
+            assert.ok(/^\d{4}-\d{2}-\d{2}T\d{2}:\d{2}:\d{2}\+08:00$/.test(nowTpeStr()))
+        })
+
+    })
+
+    describe('writeJson與writeTxt', function() {
+
+        it('writeJson自動建立資料夾並寫出json, structured:true為多行縮排', function() {
+            let fp = path.resolve(fdTmp, 'sub-json', 'a.json')
+            writeJson(fp, { a: 1, b: [2, 3] }, { structured: true })
+            let c = fs.readFileSync(fp, 'utf8')
+            assert.deepStrictEqual(JSON.parse(c), { a: 1, b: [2, 3] })
+            assert.ok(c.includes('\n'))
+        })
+
+        it('writeTxt自動建立資料夾並寫出文字', function() {
+            let fp = path.resolve(fdTmp, 'sub-txt', 'a.txt')
+            writeTxt(fp, 'abc中文')
+            assert.strictEqual(fs.readFileSync(fp, 'utf8'), 'abc中文')
+        })
+
+    })
+
+    describe('closeAndSummaryOrders', function() {
+
+        it('以w-data-tdprovide讀取數據結算訂單, 輸出orders.json/summary.json/report.html', async function() {
+            //fixtures: fdOhlc放btc.json, fdParam為空資料夾
+            let fdOhlc = path.resolve(fdTmp, 'data-ohlc')
+            let fdParam = path.resolve(fdTmp, 'data-param')
+            let fdTest = path.resolve(fdTmp, 'result')
+            fs.mkdirSync(fdOhlc, { recursive: true })
+            fs.mkdirSync(fdParam, { recursive: true })
+            fs.writeFileSync(path.resolve(fdOhlc, 'btc.json'), JSON.stringify(buildArrOhlc()), 'utf8')
+
+            //ordersSubmit: A單(止盈於t04)
+            let ordersSubmit = [buildOrder('long', t00, 100, 105, 97)]
+
+            await closeAndSummaryOrders(ott, fdOhlc, fdParam, 1000, t00, t20, 'btc', ordersSubmit, fdTest)
+
+            //orders.json
+            let orders = JSON.parse(fs.readFileSync(path.resolve(fdTest, 'orders.json'), 'utf8'))
+            assert.strictEqual(orders.length, 1)
+            assert.strictEqual(orders[0].timeEnd, t04)
+            assert.strictEqual(orders[0].modeResult, 'profit')
+
+            //summary.json
+            let stsm = JSON.parse(fs.readFileSync(path.resolve(fdTest, 'summary.json'), 'utf8'))
+            assert.strictEqual(stsm.name, '全部策略')
+            assert.strictEqual(stsm.summary.numTrade, 1)
+            assert.strictEqual(stsm.summary.rWin, '100.00%')
+
+            //report.html
+            assert.ok(fs.existsSync(path.resolve(fdTest, 'report.html')))
+        })
+
+    })
+
+})

package/toolg/addVersion.mjs

@@ -0,0 +1,4 @@
+import addVersion from 'w-package-tools/src/addVersion.mjs'
+
+
+addVersion()

package/toolg/cleanFolder.mjs

@@ -0,0 +1,5 @@
+import cleanFolder from 'w-package-tools/src/cleanFolder.mjs'
+
+
+cleanFolder('dist')
+cleanFolder('docs')

package/toolg/gDistRollup.mjs

@@ -0,0 +1,51 @@
+import path from 'path'
+import fs from 'fs'
+import rollupFiles from 'w-package-tools/src/rollupFiles.mjs'
+
+
+let fdSrc = './src'
+let fdTar = './dist'
+
+
+async function rp() {
+
+    await rollupFiles({ //rollupFiles預設會clean folder
+        fns: 'WTradeBacktest.mjs',
+        fdSrc,
+        fdTar,
+        nameDistType: 'kebabCase',
+        // bNodePolyfill: true,
+        // bMinify: false,
+        globals: {
+            path: 'path',
+            fs: 'fs',
+            url: 'url',
+        },
+        external: [
+            'path',
+            'fs',
+            'url',
+        ],
+    })
+        .catch((err) => {
+            console.log(err)
+        })
+
+    //genReportCore於執行期以fs讀取同資料夾之模板資產(js與html不打包進bundle), 故須複製至dist
+    let fnsAssets = [
+        'tmp.html',
+        'renderProfitPlot.js',
+        'renderOrdersTable.js',
+        'renderOrdersTimeline.js',
+        'renderSummary.js',
+    ]
+    fnsAssets.forEach((fn) => {
+        fs.copyFileSync(path.resolve(fdSrc, fn), path.resolve(fdTar, fn))
+    })
+
+}
+rp()
+    .catch((err) => {
+        console.log(err)
+    })
+

package/toolg/gDocsExams.mjs

@@ -0,0 +1,48 @@
+import fs from 'fs'
+import _ from 'lodash-es'
+import getFiles from 'w-package-tools/src/getFiles.mjs'
+import getPks from 'w-package-tools/src/getPks.mjs'
+
+
+let fdSrc = './examples/'
+let fdTar = './docs/examples/'
+
+
+function main() {
+    //把example裡面cdn更換, 再複製到docs的example內, 作為日後發佈為靜態網站
+
+    //pks
+    let pks = getPks()
+
+    //url
+    let url = `https://cdn.jsdelivr.net/npm/w-trade-backtest@${pks.version}/dist/w-trade-backtest.umd.js`
+
+    //mkdirSync
+    if (!fs.existsSync(fdTar)) {
+        fs.mkdirSync(fdTar)
+    }
+
+    //getFiles
+    let ltfs = getFiles(fdSrc)
+
+    _.each(ltfs, function(v) {
+
+        //fn
+        let fn = fdSrc + v
+
+        //c
+        let c = fs.readFileSync(fn, 'utf8')
+
+        //replace
+        let r
+        r = `../dist/w-trade-backtest.umd.js`
+        c = c.replace(r, url)
+
+        //write
+        //console.log(c)
+        fs.writeFileSync(fdTar + v, c, 'utf8')
+
+    })
+
+}
+// main()

package/toolg/modifyReadme.mjs

@@ -0,0 +1,4 @@
+import modifyReadme from 'w-package-tools/src/modifyReadme.mjs'
+
+
+modifyReadme()